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This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is ...
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Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.
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